Tuesday, 20 August 2013

Decomposition of a symmetric positive definite diagonal matrix

Decomposition of a symmetric positive definite diagonal matrix

If $\left[\begin{array}{cc} Q & 0\\ 0 & R
\end{array}\right]=\left[\begin{array}{c} A^{T}\\ B^{T}
\end{array}\right]\left[\begin{array}{cc} A &
B\end{array}\right]=\left[\begin{array}{cc} A^TA & A^TB\\ B^TA & B^TB
\end{array}\right]$
where $\left[\begin{array}{cc} Q & 0\\ 0 & R \end{array}\right]>0$ and
$Q,R$ are symmetric matrices, then
how do we calculate matrices $A$ and $B$?

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